| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 675.24% | 423.34% |
| CAGR﹪ | 11.76% | 9.4% |
| Sharpe | 0.79 | 1.23 |
| Prob. Sharpe Ratio | 99.93% | 100.0% |
| Smart Sharpe | 0.71 | 1.1 |
| Sortino | 1.21 | 2.52 |
| Smart Sortino | 1.08 | 2.25 |
| Sortino/√2 | 0.86 | 1.78 |
| Smart Sortino/√2 | 0.77 | 1.59 |
| Omega | 1.79 | 2.61 |
| Max Drawdown | -46.32% | -5.09% |
| Max DD Date | 2009-02-28 | 2015-12-31 |
| Max DD Period Start | 2008-06-30 | 2015-02-28 |
| Max DD Period End | 2011-01-31 | 2016-05-31 |
| Longest DD Days | 946 | 609 |
| Volatility (ann.) | 15.66% | 7.54% |
| R^2 | 0.15 | 0.15 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 0.25 | 1.85 |
| Skew | -0.58 | 0.41 |
| Kurtosis | 1.0 | 0.78 |
| Ulcer Performance Index | 63.92 | 222.64 |
| Risk-Adjusted Return | 933.23% | 560.1% |
| Risk-Return Ratio | 0.23 | 0.36 |
| Avg. Return | 1.04% | 0.79% |
| Avg. Win | 3.5% | 1.9% |
| Avg. Loss | -3.83% | -1.77% |
| Win/Loss Ratio | 0.92 | 1.07 |
| Profit Ratio | 0.44 | 0.56 |
| Expected Daily | 0.93% | 0.75% |
| Expected Monthly | 0.93% | 0.75% |
| Expected Yearly | 11.38% | 9.1% |
| Kelly Criterion | 30.57% | 38.75% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.4% | -2.81% |
| Expected Shortfall (cVaR) | -9.17% | -3.67% |
| Max Consecutive Wins | 15 | 12 |
| Max Consecutive Losses | 5 | 3 |
| Gain/Pain Ratio | 0.79 | 1.61 |
| Gain/Pain (1M) | 0.79 | 1.61 |
| Payoff Ratio | 0.92 | 1.07 |
| Profit Factor | 1.79 | 2.61 |
| Common Sense Ratio | 1.81 | 5.01 |
| CPC Index | 1.1 | 1.91 |
| Tail Ratio | 1.01 | 1.92 |
| Outlier Win Ratio | 3.1 | 3.59 |
| Outlier Loss Ratio | 2.66 | 2.83 |
| MTD | -1.05% | -3.17% |
| 3M | 13.91% | 0.94% |
| 6M | 8.94% | 8.0% |
| YTD | 8.94% | 8.0% |
| 1Y | 20.92% | 22.13% |
| 3Y (ann.) | 18.77% | 11.79% |
| 5Y (ann.) | 12.51% | 8.23% |
| 10Y (ann.) | 15.13% | 9.34% |
| All-time (ann.) | 11.76% | 9.4% |
| Best Day | 12.7% | 7.75% |
| Worst Day | -16.52% | -4.7% |
| Best Month | 12.7% | 7.75% |
| Worst Month | -16.52% | -4.7% |
| Best Year | 32.31% | 18.41% |
| Worst Year | -30.94% | -1.85% |
| Avg. Drawdown | -6.65% | -2.64% |
| Avg. Drawdown Days | 95 | 101 |
| Recovery Factor | 4.93 | 33.65 |
| Ulcer Index | 0.11 | 0.02 |
| Serenity Index | 3.17 | 45.35 |
| Avg. Up Month | 3.5% | 1.9% |
| Avg. Down Month | -3.83% | -1.77% |
| Win Days | 66.82% | 68.33% |
| Win Month | 66.82% | 68.33% |
| Win Quarter | 73.33% | 69.33% |
| Win Year | 84.21% | 89.47% |
| Beta | - | 0.19 |
| Alpha | - | 0.07 |
| Correlation | - | 39.29% |
| Treynor Ratio | - | 2236.38% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2008 | -30.94 | 10.38 | -0.34 | + |
| 2009 | 26.35 | 16.79 | 0.64 | - |
| 2010 | 15.06 | 15.78 | 1.05 | + |
| 2011 | 1.89 | 8.31 | 4.39 | + |
| 2012 | 15.99 | 4.79 | 0.30 | - |
| 2013 | 32.31 | 10.03 | 0.31 | - |
| 2014 | 13.46 | 7.14 | 0.53 | - |
| 2015 | 1.23 | -1.85 | -1.50 | - |
| 2016 | 12.00 | 5.59 | 0.47 | - |
| 2017 | 21.71 | 15.36 | 0.71 | - |
| 2018 | -4.57 | 2.66 | -0.58 | + |
| 2019 | 31.22 | 10.66 | 0.34 | - |
| 2020 | 18.33 | 16.45 | 0.90 | - |
| 2021 | 28.73 | 12.15 | 0.42 | - |
| 2022 | -18.18 | -0.69 | 0.04 | + |
| 2023 | 26.18 | 5.30 | 0.20 | - |
| 2024 | 24.89 | 10.48 | 0.42 | - |
| 2025 | 17.72 | 18.41 | 1.04 | + |
| 2026 | 8.94 | 8.00 | 0.90 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2015-02-28 | 2016-05-31 | -5.09 | 459 |
| 2011-05-31 | 2011-12-31 | -4.84 | 215 |
| 2010-05-31 | 2010-09-30 | -4.70 | 123 |
| 2009-01-31 | 2009-06-30 | -4.61 | 151 |
| 2010-01-31 | 2010-02-28 | -4.58 | 29 |
| 2026-06-30 | 2026-07-31 | -4.43 | 32 |
| 2026-03-31 | 2026-04-30 | -4.41 | 31 |
| 2023-08-31 | 2024-02-29 | -4.30 | 183 |
| 2016-08-31 | 2017-02-28 | -4.11 | 182 |
| 2020-09-30 | 2020-10-31 | -4.00 | 32 |